Active Directory Application Proxy vs. On-premises Data Gateway?

Dear community,

I want to refresh a report in the Power BI service collecting data from an on-premises SQL database.

Most commonly this is done over the On-Premises Data Gateway (we did this already successfully).

Now we are asking ourselves if there is a way of using the already existing Active Directory Application Proxy that has been installed for other use cases before for that scenario (PBI Service + On-Prem DB). 

Thanks for your support!